Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0879 |
| Annualized Std Dev | 0.2264 |
| Annualized Sharpe (Rf=0%) | 0.3882 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3686.0000 |
| NAs | 1.0000 |
| Minimum | -0.1190 |
| Quartile 1 | -0.0065 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1092 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | -0.4587 |
| Kurtosis | 5.1130 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.5272 |
| Historical VaR (95%) | -0.0229 |
| Historical ES (95%) | -0.0347 |
| Modified VaR (95%) | -0.0233 |
| Modified ES (95%) | -0.0433 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2015-07-23 | 2020-03-23 | NA | -0.5272 | 1426 | 1175 | NA |
| 2007-05-10 | 2009-03-05 | 2009-12-15 | -0.3666 | 648 | 450 | 198 |
| 2011-07-08 | 2011-08-08 | 2012-01-09 | -0.1759 | 128 | 22 | 106 |
| 2014-03-06 | 2014-04-14 | 2014-06-20 | -0.1462 | 75 | 28 | 47 |
| 2012-09-19 | 2012-11-15 | 2013-03-08 | -0.1403 | 116 | 40 | 76 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 1.5 | -0.1 | 0.6 | 0.2 | -0.8 | -0.3 | -0.5 | 0.6 |
| 2007 | 0.4 | -0.8 | 0.4 | -0.3 | 0.4 | -0.6 | 0.4 | 0.8 | 1.1 | -1.4 | 0.4 | -0.8 | -0.1 |
| 2008 | 2.8 | -1.5 | 2.3 | 1.1 | -0.2 | -0.3 | -0.2 | -0.3 | 0.8 | 1 | -6.6 | 1.4 | -0.1 |
| 2009 | -1.6 | -3.2 | -2.3 | -0.3 | 1.6 | 0.7 | 0 | -1.2 | -2 | -1.1 | 1.8 | -0.7 | -8.1 |
| 2010 | 0.5 | 1.3 | 0.7 | -0.7 | -2 | -1.7 | 0.7 | 2.3 | -0.5 | -0.6 | 1.5 | -0.5 | 1.2 |
| 2011 | 0.7 | -1.2 | 0.8 | -0.3 | -1.1 | 1.5 | -1.1 | -1.5 | -1.5 | -1.9 | -0.6 | -0.2 | -6.3 |
| 2012 | 1.5 | 0.9 | 0.5 | -0.4 | -2.2 | 1.7 | -0.9 | 0.1 | 0.5 | 0.9 | 0 | 1.4 | 4 |
| 2013 | 1.2 | -0.3 | -0.6 | -2.3 | -1.6 | 0.8 | 1.4 | -0.9 | 1.8 | 0.9 | 0.2 | 0.2 | 0.6 |
| 2014 | -0.9 | -1.9 | 0.8 | 0.3 | 0 | 1.7 | 0.7 | 0.7 | -1.1 | 0.1 | -1.8 | -0.5 | -1.9 |
| 2015 | -2.4 | -0.8 | -0.6 | 2.5 | 0.1 | 0.4 | 1.3 | -2.1 | 1 | -1.6 | 1.9 | -1.5 | -2.1 |
| 2016 | 0.6 | 1.5 | 1.7 | -1.5 | 1.2 | 1.5 | 0.1 | 0 | 0.6 | 0.9 | -1.6 | 0.9 | 6.1 |
| 2017 | 1.2 | 0.8 | -0.5 | 0.3 | 1.6 | -0.3 | -1.5 | 0 | 0.9 | 1 | 0.2 | -0.8 | 2.8 |
| 2018 | 1.2 | -0.7 | 1 | 0.5 | 1.5 | 0.1 | -0.1 | 1 | -3.4 | 3.4 | 0.8 | 0.5 | 5.7 |
| 2019 | 0.6 | 1.2 | 0.2 | 0.1 | -1.2 | 0.9 | -0.1 | -0.2 | -1.7 | 2.1 | 0.3 | 0.9 | 3.2 |
| 2020 | -0.9 | -1 | -4.2 | -3 | -0.5 | 0.4 | -1.5 | -1.2 | 0.5 | -0.9 | 0.5 | 0.7 | -10.6 |
| 2021 | 1.9 | 1.1 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-22 15.6 SPY 124. -4.40e-3 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
2 2006-06-23 15.7 SPY 124. -2.00e-4 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
3 2006-06-29 15.8 SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
4 2006-06-30 16.0 SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
5 2006-07-03 16.0 SPY 128. 4.50e-3 0.0225 -0.00930 -0.0149 0.0692 0.281 0.0514 GLD 62.2 0.0155 0.0669
6 2006-07-11 15.8 SPY 127. 4.40e-3 -0.0031 0.0164 -0.018 0.0449 0.283 0.0267 GLD 63.8 0.0289 0.0262
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
